Measuring the Efficiency of Mutual Fund on Emerging Market: A Super SBM Model

• Main Authors: Liu, Shrhao, 劉士豪
• Other Authors: Hsu, Yichung
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/86595766480838575327

碩士 === 靜宜大學 === 會計學系 === 101 === In this study, we apply three data envelopment analysis (DEA) methods- BCC(Banker-Charns-Cooper)、Super-SBM model and Malmquist productivity index (MPI) to evaluate mutual fund performance. Sharpe, Jensen, and Treynor indexs are the outputs and expense ratio, loads, purchase and sales turnover are the inputs. We evaluate the performance of 23 Taiwan stock mutual funds which investing primarily in emerging market during 2011. The empirical result shows that：1. Super-SBM model is better than BCC model to evaluate mutual fund performance. 2. Number of countries mutual fund investments will affect the fund performance. 3. We can use malmquist productivity index to find out which fund have better productivity.